Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0942
Annualized Std Dev 0.3991
Annualized Sharpe (Rf=0%) -0.2361

Row

Daily Return Statistics

Close
Observations 3874.0000
NAs 1.0000
Minimum -0.2754
Quartile 1 -0.0125
Median 0.0001
Arithmetic Mean -0.0001
Geometric Mean -0.0004
Quartile 3 0.0132
Maximum 0.1939
SE Mean 0.0004
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0007
Variance 0.0006
Stdev 0.0251
Skewness -0.4083
Kurtosis 8.5548

Downside Risk

Close
Semi Deviation 0.0182
Gain Deviation 0.0170
Loss Deviation 0.0187
Downside Deviation (MAR=210%) 0.0228
Downside Deviation (Rf=0%) 0.0183
Downside Deviation (0%) 0.0183
Maximum Drawdown 0.9535
Historical VaR (95%) -0.0382
Historical ES (95%) -0.0587
Modified VaR (95%) -0.0399
Modified ES (95%) -0.0765
From Trough To Depth Length To Trough Recovery
2008-06-24 2020-03-18 NA -0.9535 3208 2954 NA
2006-05-11 2006-10-03 2007-04-26 -0.2443 241 101 140
2008-01-04 2008-02-06 2008-04-16 -0.1912 71 23 48
2006-01-31 2006-03-09 2006-05-02 -0.1888 64 27 37
2007-07-24 2007-08-16 2007-09-21 -0.1491 43 18 25

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA 0.7 3.4 0.3 4.4
2006 -3.1 1.7 -1.5 2.2 1 0.8 -0.4 1.7 0.8 -1.7 0.7 -0.9 1
2007 0.5 -0.5 -1.2 0.4 0.7 0.3 -3 1.4 0.8 -1.1 -0.8 -1 -3.5
2008 3.9 -3 2.3 -2.6 1.3 0.5 0.8 -1.4 -4.1 1.4 -16.6 3 -15.1
2009 -2.3 -1.3 1.2 4.1 3.9 0.6 1.4 -2.5 -3.3 -4.2 1.7 -0.7 -1.9
2010 2.9 1.3 2.6 -2.8 -8.5 0.3 0.1 4.3 0.5 0.1 3.1 0.2 3.5
2011 1.4 -2.4 0.3 1.1 -3.2 0.9 -1.1 -1.5 -4.4 -4.5 -0.4 0 -13.2
2012 1.2 1.3 0.7 0.9 -3 3.7 0.2 1.7 -0.2 2 1.1 2.8 13.2
2013 1.1 -1.5 -2.8 -1.9 -1.8 1 2.5 -1.4 1.3 -0.3 0.4 0.7 -2.7
2014 -0.7 1.2 0.4 -1.7 0.1 -0.1 -0.8 0.7 -2.7 1.2 -3 -1 -6.3
2015 2.7 1 0.6 -0.2 -0.6 -3 -2 -3.8 -1 1 0.7 1 -3.7
2016 -2.7 1.2 -3.2 1.9 -1.1 3.4 -4.4 -1.6 1.5 -1.1 1.1 -0.4 -5.4
2017 0.2 2.4 1.1 -1.6 1 -0.1 -1.3 1.1 0.4 0.8 3.3 0.1 7.5
2018 1.5 -0.1 2.3 -1.1 -0.2 0.2 -1.2 -0.2 1.1 0.2 -2.7 -0.8 -1.2
2019 2 1.1 3.2 -2.2 -2.8 0.5 -5.9 -0.7 -3 4.1 -1.6 -0.2 -5.7
2020 -3 3 -4.3 -6.9 0.8 -1.5 -1.5 -0.5 -2.8 1.6 3 -0.3 -12.3
2021 0.5 4.8 0 NA NA NA NA NA NA NA NA NA 5.3

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart